Optimal portfolio for an insider in a market driven by Levy processes
Year of publication: |
2006
|
---|---|
Authors: | Nunno, Giulia Di ; Meyer-Brandis, Thilo ; Øksendal, Bernt ; Proske, Frank |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 6.2006, 1, p. 83-94
|
Publisher: |
Taylor & Francis Journals |
Subject: | Forward integral | Malliavin derivative | Insider trading | Utility function | Enlargement of filtration |
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